Multifactor Asset Pricing Model Evidence From Hotel Stocks And Lodging Real Estate Investment Trusts

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Multifactor Asset Pricing Model Evidence From Hotel Stocks and Lodging Real Estate Investment Trusts

Author : Fahad Almudhaf
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Multifactor Asset Pricing Model Evidence From Hotel Stocks and Lodging Real Estate Investment Trusts by : Fahad Almudhaf

Download or read book Multifactor Asset Pricing Model Evidence From Hotel Stocks and Lodging Real Estate Investment Trusts written by Fahad Almudhaf and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this study is to examine the performance of hotel stocks and lodging real estate investment trusts (REITs) by estimating the recent Fama-French five-factor model (including investment and profitability factors) with an additional momentum factor during the 2000-2015 period. Using multi-factor models, results show that lodging REITs under-perform hotel stocks in the United States, while the opposite is true in Japan. Our findings indicate that the momentum factor is significant in explaining variation of lodging returns in both the United States and Japan. Smaller lodging firms are generating higher returns than larger firms in the United States and Japan, on average. Operating profitability is strongly associated with average returns of hotel stocks and REITs in the United States. However, it seems that the investment factor plays an insignificant role in the asset pricing of lodging industry stocks and REITs. We find no evidence of the effectiveness of adding profitability and investment factors in Japan. Our results offer valuable investment insights that help lodging investors better understand the nature of their investments. Also, findings of the current study would benefit hotel owners who are considering both organizational structures (i.e., REITs vs. C-corps) and portfolio managers who are considering lodging for diversification purposes.

Multifactor Asset Pricing Models for Real Estate Investment Trusts

Author : Tim Perschbacher
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)

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Book Synopsis Multifactor Asset Pricing Models for Real Estate Investment Trusts by : Tim Perschbacher

Download or read book Multifactor Asset Pricing Models for Real Estate Investment Trusts written by Tim Perschbacher and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asset Pricing

Author : Hsien-hsing Liao
Publisher : World Scientific
ISBN 13 : 9812795618
Total Pages : 265 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Asset Pricing by : Hsien-hsing Liao

Download or read book Asset Pricing written by Hsien-hsing Liao and published by World Scientific. This book was released on 2003 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students."

Issues in Hospitality, Travel, and Tourism: 2013 Edition

Author :
Publisher : ScholarlyEditions
ISBN 13 : 1490107185
Total Pages : 255 pages
Book Rating : 4.4/5 (91 download)

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Book Synopsis Issues in Hospitality, Travel, and Tourism: 2013 Edition by :

Download or read book Issues in Hospitality, Travel, and Tourism: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Hospitality, Travel, and Tourism / 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Hospitality Management. The editors have built Issues in Hospitality, Travel, and Tourism: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Hospitality Management in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Hospitality, Travel, and Tourism: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Empirical Analysis of Multifactor Asset Pricing Models. A Comparison of US and Japanese REITs

Author : Tim Perschbacher
Publisher : GRIN Verlag
ISBN 13 : 3346903400
Total Pages : 146 pages
Book Rating : 4.3/5 (469 download)

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Book Synopsis Empirical Analysis of Multifactor Asset Pricing Models. A Comparison of US and Japanese REITs by : Tim Perschbacher

Download or read book Empirical Analysis of Multifactor Asset Pricing Models. A Comparison of US and Japanese REITs written by Tim Perschbacher and published by GRIN Verlag. This book was released on 2023-07-10 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2021 in the subject Business economics - Investment and Finance, grade: 1,0, , language: English, abstract: This study is concerned with an empirical analysis of asset pricing. More specifically, this paper examines whether multifactor asset pricing models are able to explain variation in REIT returns in the US and Japan. In addition to traditional multifactor models, an Alternative Four-Factor Model (AFF) was developed considering net profit margin as an additional risk factor. Thence, this paper seeks to provide valuable information for investors and fund managers regarding their indirect real estate investment selection. Using a sample period between July 1994 (US) / July 2011 (Japan) to December 2020, rigorous multiple-time-series regression is applied to calculate factor loadings for each risk factor and the corresponding alpha values of each model to evaluate their effectiveness in explaining variation and cross-section of REIT returns. Most studies on asset pricing models focus on size and value sorted portfolios as dependent variables. This paper broadens the approach with four other double sorted test portfolios to check the robustness of each single factor to explain return anomalies. Results show that market premium and size premium represent risk factors for US-REITs, whereas market premium and value premium are suitable risk factors for Japanese-REITs. The momentum factor does not capture risk and is insignificant in both markets. The study shows low correlations between traditional and REIT specific as well as between US and Japanese risk factors. This suggests that firstly risk factors are country specific and secondly that they are asset specific. Moreover, the Fama-French Three-Factor Model (FF3) clearly outperforms the CAPM, while the Carhart Four-Factor Model (CH4) marginally improves the explanatory power over the FF3. This is observed in both markets. Outcomes demonstrate that the Alternative Four-Factor Model (AAF) does not improve prediction power for returns of Japanese-REITs compared to the FF3 and CH4. On the contrary, results are ambiguous concerning US-REITs. While the additional risk factor, net profit margin, generates a negative return, the model is superior to the FF3 and CH4 in terms of explaining variation and cross-section of returns.

Asymmetric Dependence in Real Estate Investment Trusts

Author : Jamie Alcock
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Asymmetric Dependence in Real Estate Investment Trusts by : Jamie Alcock

Download or read book Asymmetric Dependence in Real Estate Investment Trusts written by Jamie Alcock and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: REITs are often assumed to be defensive assets having a low correlation with market returns. However, this dependence is not symmetric across the joint-return distribution. Disappointment-averse investors with state-dependent preferences attach (dis-)utility to investments exhibiting (lower-tail) upper-tail asymmetric dependence. We find strong empirical evidence that investors price this asymmetric dependence in the cross section of US REIT returns. In particular, we show that REIT stocks with lower-tail asymmetric dependence attract a risk premium averaging 1.3% p.a. and REIT stocks exhibiting upper-tail asymmetric dependence are traded at discount averaging 5.8% p.a. We find no evidence that the equity B is positively priced in US REIT returns. Our findings imply that traditional estimators of REIT cost of capital and performance measurement, are likely to be substantially misrepresentative.

Multifactor Assets Pricing Model

Author : Khushboo Sagar
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Multifactor Assets Pricing Model by : Khushboo Sagar

Download or read book Multifactor Assets Pricing Model written by Khushboo Sagar and published by . This book was released on 2020 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generous consideration has been pursued to the empirical testing of multi factor assets pricing models. However, literature provides mixed kind of evidences in the support of multi factor assets pricing model. This study reviews 20 research articles based on multi factor assets pricing model and examines 25 research papers based on the empirically testing of multi factor assets pricing model published during 2001 and 2018 to study the multi factor assets pricing model in the Indian context as well as foreign context. CAPM is a popular normative model used by researchers to explain the relationship between risk and expected return of a risky asset which was developed by Sharpe (1964) and Lintner (1965). This model takes only one risk factor which is the excess market portfolio return (Market premium). Because of poor performance of CAPM in explaining realized returns, the Fama and French three factor asset pricing model (1993) was developed. Fama and French (1993) documented the size effect and the value effect that were not included in the CAPM, generally known as CAPM anomalies. Mark M. Carhart (1997) developed the Carhart four factor model. It is an extension of the FF three factor model with one another factor i.e. momentum factor effect for asset pricing of stocks. In view of the limitations of the earlier three-factor model, Fama and French five-factor asset pricing model (2014) was developed. Fama and French (2014) came with profitability pattern and investment pattern in average stock return along with the market premium, size premium and value premium. This paper may be an expedient source of information to the academics, financial analyst and researchers to understand the asset pricing model.

Evidence to Support Multifactor Asset Pricing Models

Author : Supriya Maheshwari
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Evidence to Support Multifactor Asset Pricing Models by : Supriya Maheshwari

Download or read book Evidence to Support Multifactor Asset Pricing Models written by Supriya Maheshwari and published by . This book was released on 2016 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging stock market returns have been extensively studied by academic community over the past two decades. However, there is still no consensus among the researchers and practitioners as to which asset pricing models should be used to explain returns in these markets. The basic objective of the study is to evaluate the power and performance of multi-factor asset pricing models (three and four factor model) over the traditional one factor CAPM, using the data from one of the fastest growing emerging market: India. The study using a large sample data of 470 listed stocks over a period of 16 years stretching from January 1997 to March 2013, evaluate the relevance of Fama and French three factor model as well as liquidity augmented four factor model in explaining the stock return variations in the Indian stock market. The study employs time series regression approach to examine the impact of market risk, size risk, value risk and liquidity risk on stock returns. The overall results of the study provide support to the multi-dimensional nature of risk and suggest the use of multi-factor asset pricing models for consideration in investment decisions. Both Fama and French three factor model and liquidity augmented four factor model were found to be superior than traditional one factor CAPM. Though, liquidity augmented four factor model was found to be slightly better in explaining Indian stock returns as compared to Fama and French three factor model.

Bubbles in US Hotel/Lodging Real Estate Investment Trusts

Author : Fahad Almudhaf
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Bubbles in US Hotel/Lodging Real Estate Investment Trusts by : Fahad Almudhaf

Download or read book Bubbles in US Hotel/Lodging Real Estate Investment Trusts written by Fahad Almudhaf and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to test for the presence of bubbles in the US lodging/hotel real estate investment trust (REIT) sub-sector from 1994 to 2016. It also compares the profitability of a buy-and-hold strategy with several technical trading rules when applied to lodging REITs. To investigate speculative bubbles, the sequential right-sided unit root tests of Phillips, Shi and Yu (2015a,)b) are used. The results confirm the possibility of the existence of multiple bubbles and explosive behavior in prices and the price-dividend ratio. One of the detected bubbles coincides with the financial economic crisis of 2008 using both measures. In addition, several technical rules are found to be superior to a naïve buy-and-hold strategy even after adjusting for risk. These findings will be of interest to policy makers, who can use such models as an early alert to take anticipative action to avoid bursting of bubbles and consequent negative effects on the economy. The findings also provide important information to investors attempting to devise trading rules that utilize the signals from bubble detection, as well as to hotel executives devising policies aimed at reducing risk and creating more firm value to maximize shareholder wealth. Moreover, valuation and bubbles are important to lenders and creditors who use assets as collateral for financing hotel REITs. Hotels are a unique hybrid of retail and housing that combine operating business with real estate. This paper is the first to investigate speculative bubbles in lodging REITs.

REITs

Author : John A. Mullaney
Publisher : John Wiley & Sons
ISBN 13 : 9780471193241
Total Pages : 312 pages
Book Rating : 4.1/5 (932 download)

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Book Synopsis REITs by : John A. Mullaney

Download or read book REITs written by John A. Mullaney and published by John Wiley & Sons. This book was released on 1997-10-15 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely and authoritative guide to today's hottest new investment vehicles "Finally, a book that covers REITs from A to Z that is understandable to both the layperson and the expert alike. John Mullaney is one of the very few real estate analysts who can simplify this complex new asset class and make the compelling argument that securitized real estate will continue to have a bright future and belongs in everyone's portfolio." --Peter Wheeler, President and COO, Commonwealth Equity Services "REITs: Building Profits with Real Estate Investment Trusts is a well-written and informative book not only on REITs, but real estate in general. It is a must-read for financial advisors who want to help their clients benefit from some of the outstanding investment opportunities which currently exist in the REIT industry." --Ina Fritsch, President, Fritsch Financial Services "This book is an excellent guide through the various sectors in the REIT industry and the leading companies in the business. I would recommend it for any investor interested in learning about the industry and how to select the right real estate investment trusts for their portfolio." --Charles K. Barbo, Chairman and CEO, Shurgard Storage Centers "I firmly believe that investors who manage and choose their own investments should understand the product they are investing in. John Mullaney's book is a great source for such investors to learn about real estate investments, valuing REITs, and making sound investment decisions." --Anne C. Ravetti, Meridian Industrial Trust

Real Estate Finance

Author : William B. Brueggeman
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 872 pages
Book Rating : 4.3/5 (97 download)

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Book Synopsis Real Estate Finance by : William B. Brueggeman

Download or read book Real Estate Finance written by William B. Brueggeman and published by Irwin Professional Publishing. This book was released on 1989 with total page 872 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Alternative Investments: A Primer for Investment Professionals

Author : Donald R. Chambers
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960384
Total Pages : 122 pages
Book Rating : 4.9/5 (449 download)

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Book Synopsis Alternative Investments: A Primer for Investment Professionals by : Donald R. Chambers

Download or read book Alternative Investments: A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.

Valuation of Unlisted Direct Investment Equity

Author : Emmanuel O. Kumah
Publisher : International Monetary Fund
ISBN 13 : 1451873891
Total Pages : 75 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Valuation of Unlisted Direct Investment Equity by : Emmanuel O. Kumah

Download or read book Valuation of Unlisted Direct Investment Equity written by Emmanuel O. Kumah and published by International Monetary Fund. This book was released on 2009-11-01 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the seven valuation methods for unlisted direct investment equity included in the recently adopted IMF Balance of Payments and International Investment Position Manual, Sixth Edition (BPM6). Based on publicly available Danish data, we test the three methods that are generally applicable and find that the choice of valuation method and estimation technique can have a highly significant impact on the international investment position, pointing to the need for further harmonization. The results show that the price-to-book value method generates more robust market value estimates than the price-to-earnings method. This finding suggests that the valuation basis for the forthcoming Coordinated Direct Investment Survey - own funds at book value -will provide useful information for compiling the international investment position.

Real Estate Investment Trusts in Europe

Author : Ramón Sotelo
Publisher : Springer Science & Business Media
ISBN 13 : 3642368565
Total Pages : 242 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Real Estate Investment Trusts in Europe by : Ramón Sotelo

Download or read book Real Estate Investment Trusts in Europe written by Ramón Sotelo and published by Springer Science & Business Media. This book was released on 2013-12-11 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shortly before of the beginning of the global financial crisis of 2008 REITs were introduced in several European countries based on their success in mature markets like the US, Australia and some Asian countries. While the history of REITs in Europe has been relatively brief, REITs are well on the way to become an industry standard as a real estate investment financial vehicle not only in Europe but throughout the developed world. This book provides both academics and decision makers an introduction to the economics of REITs beyond tax transparency, an overview of the mature REITs markets, and a closer reflection of the development of different REIT-structures in Europe including the history, regulation and markets of each country.

Educated REIT Investing

Author : Stephanie Krewson-Kelly
Publisher : John Wiley & Sons
ISBN 13 : 1119708699
Total Pages : 310 pages
Book Rating : 4.1/5 (197 download)

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Book Synopsis Educated REIT Investing by : Stephanie Krewson-Kelly

Download or read book Educated REIT Investing written by Stephanie Krewson-Kelly and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn to invest in REITs with confidence and skill with this powerful resource Educated REIT Investing is the ultimate resource for investors, financial advisors, and students interested in learning how to invest in real estate investment trusts (REITs)—one of the only asset classes to significantly outperform the S&P 500 Index over the last 25 years. Written by Stephanie Krewson-Kelly and Glenn R. Mueller, PhD., both accomplished REIT authors and investors with six decades of accumulated industry experience between them, Educated REIT Investing provides all the basics and history, then blends pragmatic strategies and advice with a thorough exploration of the fundamentals and nuances of the REIT industry. Topics include: Basic information about REITs and the REITs industry Terminology specific to the REIT industry, explained in plain-English Historical REIT industry performance tables and trading perspectives Analysis and equations needed to calculate key metrics used to identify the suitability of companies for investment purposes, illustrated with simple examples This book is perfect for anyone looking for a straightforward, easy-to-understand resource to establish or improve their understanding and analysis of real-estate investment trusts.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Real Estate Finance and Investments

Author : William B. Brueggeman
Publisher : Irwin Professional Pub
ISBN 13 : 9780072977363
Total Pages : 640 pages
Book Rating : 4.9/5 (773 download)

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Book Synopsis Real Estate Finance and Investments by : William B. Brueggeman

Download or read book Real Estate Finance and Investments written by William B. Brueggeman and published by Irwin Professional Pub. This book was released on 2005 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real Estate Finance & Investments is today's most indispensable, hands-on look at the increasingly vital arena of real estate partnerships, secondary mortgage markets, and fixed- and adjustable- rate mortgages. Updates to this edition include completely revised coverage of REITs, expanded coverage of CMBS, more detail on how underlying economic factors affect property value, and short readings based on current events.